Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0118
Annualized Std Dev 0.1660
Annualized Sharpe (Rf=0%) -0.0712

Row

Daily Return Statistics

Close
Observations 4441.0000
NAs 1.0000
Minimum -0.1691
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1387
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0105
Skewness -0.8469
Kurtosis 39.8570

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0079
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0125
Downside Deviation (Rf=0%) 0.0077
Downside Deviation (0%) 0.0077
Maximum Drawdown 0.5345
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0254
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
2004-04-02 2008-10-10 NA -0.5345 4271 1140 NA
2003-08-25 2003-11-24 2004-03-05 -0.0730 134 65 69
2004-03-22 2004-03-24 2004-03-31 -0.0134 8 3 5
2004-03-09 2004-03-10 2004-03-19 -0.0080 9 2 7
2003-08-07 2003-08-07 2003-08-13 -0.0005 5 1 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA 0 0 0.8 0.3 -0.1 0.3 1.4
2004 0.2 -0.3 1.2 2.8 1.4 1.7 -0.1 1 0.7 0.3 1 0.4 10.7
2005 -0.1 0.4 1.5 0.3 1.7 1 0.5 0.5 0.5 0.7 0.2 1.4 8.9
2006 1.9 -0.1 -0.2 0.8 0 0.1 0.2 0.3 0.2 0.2 -0.3 0.3 3.5
2007 0.1 -0.7 0.5 -0.1 -0.4 0.4 -1.5 0.5 -0.7 1.4 0.7 0.9 1.1
2008 -0.2 -2.7 1.1 0.4 -0.3 -1 1.4 0.1 0.1 1.9 -3.9 -1.1 -4.3
2009 1.1 0.6 0.9 0.6 -1.1 0.5 0.1 0 -0.4 -0.6 0.9 -0.3 2.3
2010 1.1 0.4 0.6 0.3 0.5 0.1 0.2 0.9 0.3 -0.3 -0.8 0.2 3.6
2011 0.3 -0.3 -0.7 1.6 -0.5 -3.1 2 -0.1 1.1 -0.6 0.9 -0.8 -0.1
2012 -0.2 0.2 0 0.9 -0.2 -1.4 1.3 0.3 1 0.6 -0.5 -1.6 0.2
2013 0.2 -0.2 -0.8 -1.3 -2.9 0.2 -0.4 0.2 -0.2 -0.3 -0.2 -0.6 -6.1
2014 0.6 -0.4 0.3 -0.2 -0.3 0.1 -0.4 0.2 0.6 0.2 -0.5 2.2 2.5
2015 -0.4 0.4 1.1 0 0.1 0.9 0.3 -0.4 -0.8 0.6 -0.3 1 2.3
2016 -0.9 1.1 1.2 0.1 -0.1 0.2 -0.2 -0.5 0.3 -0.2 -0.6 0.3 0.6
2017 -0.2 0.3 0.5 0.2 -0.3 1 -0.1 0.1 0.2 -0.2 0.3 0.1 1.8
2018 -0.4 -0.6 0.4 -0.2 -0.6 0.3 -0.7 0.1 0.1 0.5 0 -0.3 -1.3
2019 0.6 -0.1 0.4 0.4 -0.6 -0.1 0.7 0.2 -0.4 0.1 0.1 0.8 2
2020 -1.3 -3.2 -4.1 -2 1.2 0.2 -0.5 0.9 0.8 -0.3 -0.1 0.8 -7.5
2021 -0.4 0.9 0.4 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-07-29  20   SPY    99.4 -0.0046    0.0023   0.0178   0.0829   0.107    -0.327       NA <NA>     NA    NA       NA
2 2003-07-30  20   SPY    99.2 -0.00240  -0.0008   0.0157   0.0789   0.0904   -0.325       NA <NA>     NA    NA       NA
3 2003-07-31  20   SPY    99.4  0.0023    0.0091   0.0087   0.0815   0.0903   -0.325       NA <NA>     NA    NA       NA
4 2003-08-01  20   SPY    98.5 -0.0089   -0.0172  -0.0126   0.0569   0.110    -0.325       NA <NA>     NA    NA       NA
5 2003-08-04  20   SPY    98.5  0        -0.0135  -0.0023   0.0589   0.135    -0.322       NA <NA>     NA    NA       NA
6 2003-08-05  20.0 SPY    96.4 -0.0212   -0.03    -0.0425   0.0267   0.151    -0.321       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart